Outliers represent a fundamental challenge in the empirical finance research. We
investigate whether the routine techniques used in finance research to identify and treat …

In different fields of applications including, but not limited to, behavioral, environmental,
medical sciences, and econometrics, the use of panel data regression models has become …

In empirical studies often the values of some variables for some observations are much
larger or smaller than the values for the other observations in the sample. These extreme …

Archival variable distributions are frequently skewed or heavy-tailed as a result of the
scaling of variables and the use of heterogeneous samples of firms. We illustrate that even …

This chapter suggests a robust Hausman and Taylor (1981), hereafter HT, estimator that
deals with the possible presence of outliers. This entails two modifications of the classical …

We develop a new robust‐to‐outliers dummy estimator that we subsequently apply to
investigate the impact of various democratic attributes on foreign direct investment in recent …

Panel data model with fixed effects is widely used in economic and administrative
applications. However, the presence of factors: measurement errors, data variability and …

The panel data regression models have gained increasing attention in different areas of
research including econometrics, environmental sciences, epidemiology, behavioural and …

In nonlinear time series modeling, autocorrelation of the random errors may cause critical
problems in estimation and inference. The situation becomes even worse for panel data with …

Outlier-robust estimators are proposed for linear dynamic fixed-effect panel data models
where the number of observations is large and the number of time periods is small. In the …